Change search
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf
A Common Trends Model: Identification, Estimation and Inference
Stockholm University, Faculty of Social Sciences, Institute for International Economic Studies.
1993 (English)Report (Other academic)
Abstract [en]

Common trends models provide a useful tool for studying growth and business cycle phenomena in a joint framework (see King, Plosser, Stock and Watson (1991)). In this paper we study the problem of how to estimate and analyse a common stochastic trends model for an n dimensional time series which is cointegrated of order (1,1) with r < n cointegration vectors. Identification of k = n - r permanent (trend) and r transitory innovations is discussed in terms of impulse responses and variance decompositions. Finally, we derive analytical expressions of the asymptotic distributions for estimates of these functions, thereby making formal hypothesis testing and inference possible within this framework.

Place, publisher, year, edition, pages
Stockholm: IIES , 1993. , 43 p.
Series
Seminar Paper / Institute for International Economic Studies, Stockholm University, ISSN 0347-8769 ; 555
Keyword [en]
cointegration, common trends, impulse response function, permanent and transitory shocks, variance decomposition
National Category
Economics
Identifiers
URN: urn:nbn:se:su:diva-41875OAI: oai:DiVA.org:su-41875DiVA: diva2:338084
Available from: 2010-08-10 Created: 2010-08-10 Last updated: 2010-08-10Bibliographically approved

Open Access in DiVA

fulltext(5878 kB)627 downloads
File information
File name FULLTEXT01.pdfFile size 5878 kBChecksum SHA-512
aa1eaa37e73824d4425276b895c628cca696b724939ad0ee0b2b6a290e0a343d6029536e8049bb9703c355115d80eac8b9b9c5bac3a395845dbe1aeb3bc3e059
Type fulltextMimetype application/pdf

By organisation
Institute for International Economic Studies
Economics

Search outside of DiVA

GoogleGoogle Scholar
Total: 627 downloads
The number of downloads is the sum of all downloads of full texts. It may include eg previous versions that are now no longer available

urn-nbn

Altmetric score

urn-nbn
Total: 259 hits
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf